Automated strategies for investment management

The invention is in the field of using a computer to select corporate stocks for investment. Fifty stocks are selected from a database on the basis of certain criteria. The stocks are acquired in equal proportions, and the portfolio is rebalanced at the end of an annual term. Strategy I: market capi...

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Bibliographische Detailangaben
1. Verfasser:	JAMES P. O'SHAUGHNESSY
Format:	Patent
Sprache:	eng
Schlagworte:	ANALOGUE COMPUTERS BASIC ELECTRIC ELEMENTS BOOK COVERS BOOKBINDING CALCULATING COMPUTING COUNTING DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES DEVICES FOR USE THEREWITH AND NOT OTHERWISE PROVIDEDFOR ELECTRIC DISCHARGE TUBES OR DISCHARGE LAMPS ELECTRICITY FILES LOOSE LEAVES MOVABLE-STRIP WRITING OR READING APPARATUS PERFORMING OPERATIONS PHYSICS PRINTED MATTER CHARACTERISED BY IDENTIFICATION OR SECURITYFEATURES PRINTED MATTER OF SPECIAL FORMAT OR STYLE NOTOTHERWISE PROVIDED FOR SPECIAL PRINTED MATTER SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR TRANSPORTING
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Beschreibung
Zusammenfassung:	The invention is in the field of using a computer to select corporate stocks for investment. Fifty stocks are selected from a database on the basis of certain criteria. The stocks are acquired in equal proportions, and the portfolio is rebalanced at the end of an annual term. Strategy I: market capitalization greater than $172 million (inflation adjusted figure for $150 million in 1994 dollars.); price-to-sales ratio less than 1.5; earnings higher than in previous year; market capitalization greater than market capitalization three months ago; market capitalization greater than market capitalization six months ago; buy stocks with highest one-year stock price appreciation. Strategy II: market capitalization greater than database mean; common shares outstanding greater than database mean; cashflow greater than the database mean. (creating SET A); price-to-sales ratio less than average for SET A; sales greater than 1.5 times the average for the database; no utility companies; buy the 25 or 50 stocks with the best one year stock price appreciation.